Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Jan 08 (1D) Jan 09 (2D) Jan 12 (5D) Jan 13 (6D) Jan 14 (7D) Jan 15 (8D) Jan 16 (9D) Jan 19 (12D) Jan 20 (13D) Jan 21 (14D) Jan 23 (16D) Jan 30 (23D) Feb 06 (30D) Feb 13 (37D) Feb 20 (44D) Feb 27 (51D) Mar 06 (58D) Mar 13 (65D) Mar 20 (72D) Mar 27 (79D)
lower 684.029 681.729 677.167 675.982 674.893 673.879 672.926 670.35 669.565 668.809 667.375 662.957 659.174 655.813 652.757 649.936 647.303 644.824 642.476 640.239
upper 695.131 697.431 701.993 703.178 704.267 705.281 706.234 708.81 709.595 710.351 711.785 716.203 719.986 723.347 726.403 729.224 731.857 734.336 736.684 738.921
expected move 5.551 7.851 12.413 13.598 14.687 15.701 16.654 19.23 20.015 20.771 22.205 26.623 30.406 33.767 36.823 39.644 42.277 44.756 47.104 49.341
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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